It may have also appeared in "Are You Happy Now?" Although the places in that episodes look a little different than the Open Air Concert Hall.
It looks like it is built inside a giant clam, in which the Bikini Bottomites can watch shows, sometimes a symphony and (possibly) plays as well.
The first time it appeared, It was daytime and Squidward handed the manager of the symphony his original piece. During the performance of it, SpongeBob and Patrick appeared and did everything Squidward did. And the end of Squidward's symphony, the crowd cheered for him. The Conductor conducts it.